| December 9, 2022 | ||
|---|---|---|
| Time | Location | Event |
| 09:15 to 09:30 | Registration & Welcome | |
| | ||
| 09:30 to 18:30 | DAY 1 | |
| | ||
| 20:00 to 23:00 | Conference Dinner | |
| | ||
| December 10, 2022 | ||
| Time | Location | Event |
| 09:30 to 16:45 | DAY 2 | |
| | ||
| 16:45 to 17:00 | Closing words & Champagne presentation | |
| | ||
| 17:00 to 18:00 | Champagne Tasting | |
| | ||
| Registration & Welcome December 9, 2022 09:15 to 09:30 |
|---|
| DAY 1 December 9, 2022 09:30 to 18:30 |
|---|
| Conference Dinner December 9, 2022 20:00 to 23:00 |
|---|
| DAY 2 December 10, 2022 09:30 to 16:45 |
|---|
| Closing words & Champagne presentation December 10, 2022 16:45 to 17:00 |
|---|
| Champagne Tasting December 10, 2022 17:00 to 18:00 |
|---|
Summary of All Sessions |
|---|
| # | Date/Time | Title | Papers |
|---|---|---|---|
| 1 | December 9, 2022 9:30-11:00 | Session 1: Covariance Matrix Estimation | 3 |
| 2 | December 9, 2022 11:30-12:15 | Keynote 1: Per Mykland [ET Lecture] | 0 |
| 3 | December 9, 2022 12:15-14:00 | Poster Session 1 | 14 |
| 4 | December 9, 2022 14:00-15:30 | Session 2: Asset Pricing | 3 |
| 5 | December 9, 2022 16:00-17:30 | Session 3: Dynamic Factor Models | 3 |
| 6 | December 9, 2022 17:45-18:30 | Keynote 2: Serena Ng - Approximate Factor Models with Weaker Loadings | 0 |
| 7 | December 10, 2022 9:30-11:30 | Session 4: High Frequency Data | 4 |
| 8 | December 10, 2022 12:00-12:45 | Keynote 3: Patrick Gagliardini | 0 |
| 9 | December 10, 2022 12:45-14:30 | Poster Session 2 | 12 |
| 10 | December 10, 2022 14:30-15:30 | Session 5: Microstructure Noise | 2 |
| 11 | December 10, 2022 16:00-16:45 | Keynote 4: Silvia Goncalves - Bootstrap inference in the presence of bias (joint with Giuseppe Cavaliere & Morten Nielsen) | 0 |
11 sessions, 41 papers, and 0 presentations with no associated papers |
|---|
33rd (EC)^2 on the Econometrics of High Frequency Data & Factor Models |
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Detailed List of Sessions |
| Session 1: Session 1: Covariance Matrix Estimation December 9, 2022 9:30 to 11:00 |
|---|
| On the Inference of a correlation-robust LASSO-type Estimator with an Application on Factor Zoo |
| By Chuanping Sun; City, University of London |
| presented by: Chuanping Sun, City, University of London |
| Deep Learning with Non-Linear Factor Models: Adaptability and Avoidance of Curse of Dimensionality |
| By Mehmet Caner; North Carolina State University Maurizio Daniele; ETH Zürich, KOF Swiss Economic Institute |
| presented by: Maurizio Daniele, ETH Zürich, KOF Swiss Economic Institute |
| Dynamic Partial Correlation Models |
| By Enzo D'Innocenzo; Vrije Universiteit Amsterdam Andre Lucas; Vrije Universiteit Amsterdam |
| presented by: Enzo D'Innocenzo, Vrije Universiteit Amsterdam |
| Session 2: Keynote 1: Per Mykland [ET Lecture] December 9, 2022 11:30 to 12:15 |
| Session 3: Poster Session 1 December 9, 2022 12:15 to 14:00 |
| A penalized two-pass regression to predict stock returns with time-varying risk premia |
| By Gaetan Bakalli; Emlyon Business School Olivier Scaillet; University of Geneva and Swiss Finance Institute Stephane Guerrier; University of Geneva |
| presented by: Gaetan Bakalli, Emlyon Business School |
| A tale of two time scales: applications in nonparametric Hawkes processes with Ito semimartingale baseline |
| By Seunghyeon Yu; Korea Advanced Institute of Science and Technology Yoann Potiron; Keio University |
| presented by: Yoann Potiron, Keio University |
| A Neural Network with Shared Dynamics for Multi-Step Prediction of Value-at-Risk and Volatility |
| By Nalan Basturk; maastricht university Peter Schotman; Maastricht University Hugo Schyns; Maastricht University School of Business and Economics |
| presented by: Hugo Schyns, Maastricht University School of Business and Economics |
| Nonstationary Multivariate Conditional Correlation GARCH Models with Volatility Spillovers |
| By Cristina Amado; University of Minho |
| presented by: Cristina Amado, University of Minho |
| Tail risk and asset prices in the short-term |
| By Caio Almeida; Princeton University Gustavo Freire; Erasmus University Rotterdam Rene Garcia; Universite de Montreal Rodrigo Hizmeri; University of Liverpool Management School |
| presented by: Gustavo Freire, Erasmus University Rotterdam |
| A Ridge-Regularized Anderson-Rubin Test |
| By Sophocles Mavroeidis; Oxford University |
| presented by: Sophocles Mavroeidis, Oxford University |
| Identification Robust Inference for the Risk Premium in Term Structure Models |
| By Frank Kleibergen; University of Amsterdam Lingwei Kong; University of Groningen |
| presented by: Lingwei Kong, University of Groningen |
| Slow EM Convergence in Low-Noise Dynamic Factor Models |
| By Daan Opschoor; Erasmus University Rotterdam Dick van Dijk; Erasmus University Rotterdam |
| presented by: Daan Opschoor, Erasmus University Rotterdam |
| A forest full of risk forecasts for managing volatility |
| By Onno Kleen; Erasmus University Rotterdam Anastasija Tetereva |
| presented by: Anastasija Tetereva, |
| Factor IV Estimation in Conditional Moment Models with an application to Inflation Dynamics |
| By Bertille Antoine; Simon Fraser University Xiaolin Sun; Simon Fraser University |
| presented by: Bertille Antoine, Simon Fraser University |
| Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions |
| By Alain Hecq; Maastricht University Marie Ternes; Maastricht University Ines Wilms; Maastricht University |
| presented by: Marie Ternes, Maastricht University |
| Asymmetric “CAW” Models for Realized Covariances |
| By Luc Bauwens; UCLouvain Emilija Dzuverovic; University of Messina Christian Hafner; Université catholique de Louvain (UCL) |
| presented by: Emilija Dzuverovic, University of Messina |
| Characteristic function-based factor modelling of affine jump diffusions using options |
| By Niels Marijnen; Amsterdam School of Economics, University of Amsterdam |
| presented by: Niels Marijnen, Amsterdam School of Economics, University of Amsterdam |
| Disentangling Structural Breaks in High Dimensional Factor Models |
| By Bonsoo Koo; Monash University Benjamin Wong; Monash University Ze Yu Zhong; Monash University |
| presented by: Ze Yu Zhong, Monash University |
| Session 4: Session 2: Asset Pricing December 9, 2022 14:00 to 15:30 |
| Instability of Factor Strength in Asset Returns |
| By Daniele Massacci; King's College London |
| presented by: Daniele Massacci, King's College London |
| Empirical asset pricing with many assets and short time series |
| By Rasmus Lönn; Erasmus School of Economics - Erasmus University Rotterdam Peter Schotman; Maastricht University |
| presented by: Peter Schotman, Maastricht University |
| Misspecification and Weak Identification in Asset Pricing |
| By Frank Kleibergen; University of Amsterdam |
| presented by: Frank Kleibergen, University of Amsterdam |
| Session 5: Session 3: Dynamic Factor Models December 9, 2022 16:00 to 17:30 |
| FNETS: Factor-adjusted network estimation and forecasting for high-dimensional time series |
| By Matteo Barigozzi; University of Bologna Haeran Cho; University of Bristol Dom Owens; Bristol University |
| presented by: Matteo Barigozzi, University of Bologna |
| Factor Models with Sparse VAR Idiosyncratic Components |
| By Jonas Krampe; University of Mannheim Luca Margaritella; Lund University |
| presented by: Luca Margaritella, Lund University |
| New Tests and Estimators for Common Dynamic Factors |
| By Federico Carlini; LUISS Guido Carli Mirco Rubin; EDHEC Business School |
| presented by: Federico Carlini, LUISS Guido Carli |
| Session 6: Keynote 2: Serena Ng - Approximate Factor Models with Weaker Loadings December 9, 2022 17:45 to 18:30 |
| Session 7: Session 4: High Frequency Data December 10, 2022 9:30 to 11:30 |
| Intensity Bursts |
| By Aleksey Kolokolov; The University of Manchester Kim Christensen; Aarhus University |
| presented by: Aleksey Kolokolov, The University of Manchester |
| Factor Overnight GARCH-It\^o Models |
| By Donggyu Kim; KAIST Yazhen Wang; University of Wisconsin-Madison |
| presented by: Donggyu Kim, KAIST |
| Inference on the maximal rank of time-varying covariance matrices using high-frequency data |
| By Markus Reiss; Humboldt-University of Berlin Lars Winkelmann; Freie Universität Berlin |
| presented by: Lars Winkelmann, Freie Universität Berlin |
| News and Asset Pricing: A High-Frequency Anatomy of the SDF |
| By Saketh Aleti; Duke University Tim Bollerslev; Duke University |
| presented by: Tim Bollerslev, Duke University |
| Saketh Aleti, Duke University |
| Session 8: Keynote 3: Patrick Gagliardini December 10, 2022 12:00 to 12:45 |
| Session 9: Poster Session 2 December 10, 2022 12:45 to 14:30 |
| Empirical Asset Pricing with Score-Driven Conditional Betas |
| By Thomas Giroux; CREST Julien Royer; CREST Olivier ZERBIB |
| presented by: Julien Royer, CREST |
| Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation |
| By Peter Boswijk; University of Amsterdam Roger Laeven; University of Amsterdam Evgenii Vladimirov; University of Amsterdam |
| presented by: Evgenii Vladimirov, University of Amsterdam |
| An Order-invariant Score-driven Dynamic Factor Model |
| By Mariia Artemova; Vrije Universiteit Amsterdam |
| presented by: Mariia Artemova, Vrije Universiteit Amsterdam |
| Three Common Factors |
| By Elena Andreou; University of Cyprus Patrick Gagliardini; Università della Svizzera italiana Eric Ghysels; UNC Mirco Rubin; EDHEC Business School |
| presented by: Mirco Rubin, EDHEC Business School |
| Autoregressive conditional betas |
| By Francisco Blasques; Vrije Universiteit Amsterdam Christian Francq; CREST and Lille3 Sebastien Laurent; AMSE |
| presented by: Sebastien Laurent, AMSE |
| Did the introduction of ETF Market Making Incentive Scheme affect lead-lag relationships in the Tokyo Stock Exchange? |
| By Takaki Hayashi; Keio University Yuta Koike; University of Tokyo |
| presented by: Yuta Koike, University of Tokyo |
| Estimation and Identification in Sparse Dynamic Factor Models |
| By Quint Wiersma; Vrije Universiteit Amsterdam |
| presented by: Quint Wiersma, Vrije Universiteit Amsterdam |
| Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: ALQR Approach |
| By RUI FAN; Rensselaer Polytechnic Institute Ji Hyung Lee; University of Illinois Youngki Shin; McMaster University |
| presented by: Ji Hyung Lee, University of Illinois |
| Forecasting Intra-daily Volume in Large Panels of Assets |
| By Christian Brownlees; Universitat Pompeu Fabra Serge Darolles; Universite Paris-Dauphine Gaelle Le Fol; Universite Paris-Dauphine - PSL Research University - CNRS - INSEE CREST Beatrice Sagna; Universite Paris Dauphine PSL |
| presented by: Beatrice Sagna, Universite Paris Dauphine PSL |
| The liquidity uncertainty premium puzzle |
| By Maria Flora; CREST, CNRS, Institut Polytechnique de Paris Ilaria Gianstefani; IMT School for Advanced Study Roberto Reno; University of Verona |
| presented by: Ilaria Gianstefani, IMT School for Advanced Study |
| Time varying kernel densities as dynamic infinite mixture models |
| By Pierluigi Vallarino; Aarhus BSS |
| presented by: Pierluigi Vallarino, Aarhus BSS |
| The Cross Section of Household Preferences and the Marginal Propensity to Consume: Evidence from high frequency data |
| By Elena Andreou; University of Cyprus Maria Demetriadou; University of Cyprus Andreas Tryphonides; Department of Economics, University of Cyprus |
| presented by: Maria Demetriadou, University of Cyprus |
| Session 10: Session 5: Microstructure Noise December 10, 2022 14:30 to 15:30 |
| Price discovery with a richer market microstructure noise |
| By Gustavo Fruet Dias; University of East Anglia and CREATES Marcelo Fernandes; Fundacao Getulio Vargas Cristina Scherrer; University of East Anglia |
| presented by: Gustavo Fruet Dias, University of East Anglia and CREATES |
| Price Jumps and Earnings Announcements |
| By Kim Christensen; Aarhus University |
| presented by: Kim Christensen, Aarhus University |
| Session 11: Keynote 4: Silvia Goncalves - Bootstrap inference in the presence of bias (joint with Giuseppe Cavaliere & Morten Nielsen) December 10, 2022 16:00 to 16:45 |
This program was last updated on 2022-12-01 13:36:40 EDT